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Insider Trading , Stochastic Liquidity and Equilibrium Prices I
| Content Provider | Semantic Scholar |
|---|---|
| Author | Collin-Dufresne, Pierre |
| Copyright Year | 2012 |
| Abstract | We extend Kyle’s (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is mean-reverting, then the equilibrium price follows a multivariate ‘stochastic bridge’ process, which displays stochastic volatility. This is because insiders choose to optimally wait to trade more aggressively when noise trading activity is higher. In equilibrium, market makers anticipate this, and adjust prices accordingly. More private information is revealed when volatility is higher. In time series, insiders trade more aggressively, when measured price impact is lower. Therefore, execution costs to uninformed traders can be higher when price impact is lower. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.ncer.edu.au/events/documents/Vyacheslav%20Fos%20Insider%20Trading%20Stochastic%20Liquidity%20and%20Equilibrium%20Prices.pdf |
| Alternate Webpage(s) | http://econ.as.nyu.edu/docs/IO/35694/1403wdufresne.pdf |
| Alternate Webpage(s) | http://blog.iese.edu/financeseminars/files/2012/05/StocLiq18.pdf |
| Alternate Webpage(s) | http://cowles.econ.yale.edu/conferences/2013/caress9/fos.pdf |
| Alternate Webpage(s) | https://cowles.yale.edu/sites/default/files/files/conf/2013/ge9_fos_sl.pdf |
| Alternate Webpage(s) | https://staff.fnwi.uva.nl/p.j.c.spreij/winterschool/slidesCollinDufresne.pdf |
| Alternate Webpage(s) | https://cowles.yale.edu/sites/default/files/files/conf/2013/ge9_fos.pdf |
| Alternate Webpage(s) | http://www8.gsb.columbia.edu/sites/financialstudies/files/files/insidertraining.pdf |
| Alternate Webpage(s) | http://cowles.econ.yale.edu/conferences/2013/caress9/fos_sl.pdf |
| Alternate Webpage(s) | http://w4.stern.nyu.edu/finance/docs/pdfs/Seminars/1403w-dufresne.pdf |
| Alternate Webpage(s) | http://www.haas.berkeley.edu/groups/finance/StocLiq21.pdf |
| Alternate Webpage(s) | http://www.math.cmu.edu/CCF/CCFevents/shreve/abstracts/P.CollinDufresne.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Algorithmic trading Brownian motion Document completion status - Documented Eighty Exhibits as Topic Fifty Nine Financial cost G.M. Collin Acne Kit Generalization (Psychology) Kind of quantity - Equilibrium Observable Personally identifiable information Richardson number Stochastic process Time series Traders Volatility XPR1 gene |
| Content Type | Text |
| Resource Type | Article |
